Classic case of mis-wired headlights. On the W201 (not entirely sure the W124 is much different) the four wires are placed in the new socket as follows:

Put old pin 2 (brown wire) into new socket 2
Put old pin 1 (green wire) into new socket 6
Put old pin 3 (yellow wire) into new socket 5
Put old pin 4 (white wire) into new socket 4

The best means would be to check the pins with a voltmeter with the different headlight switch positions, but this will probably work.